Peter Malec
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View article: Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence Open
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semimartingale log asset price process, which is subject to noise and nonsynchronous observations. The estimator is constructed based on a local av…
View article: A Semiparametric Intraday GARCH Model
A Semiparametric Intraday GARCH Model Open
We propose a multiplicative component model for intraday volatility. The model consists of a seasonality factor, as well as a semiparametric and parametric component. The former captures the well-documented intraday seasonality of volatili…